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Re: st: GMM method for Panel data

From   Maarten Buis <>
Subject   Re: st: GMM method for Panel data
Date   Wed, 16 Jan 2013 12:00:33 +0100

On Wed, Jan 16, 2013 at 11:16 AM, econqian222 wrote:
>        I have two instrumental variables to instrument one endogenous
> variable in a panel dataset, and the pagan and hall test indicates that
> there is heteroskedasticit for the two instrumental variables(IV)
> estimation, then GMM method is required to obtain the efficient estimators.
> So what's the command of GMM estimation for Panel dataset? I have tried
> "xtivreg gmm", but it doesn't work.

Did you look at the helpfile of -xtivreg-? It does not mention
-xtivreg gmm-, so you can hardly be surprised that that does not work.

More importantly, many persons on this list are allergic to "does not
work", as that is an uninformative statement. What you should have
said is I have tried <your _complete_ command here> and Stata returned
<the error message, output you think is wrong (and why you think it is
wrong), ...>. See here for more on how to ask questions on Statalist
Also, I assume that you have read the FAQ

Did you look at -ssc desc xtivreg2-?

-- Maarten

Maarten L. Buis
Reichpietschufer 50
10785 Berlin
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